PENGARUH FAKTOR FUNDAMENTAL DAN FAKTOR MAKROEKONOMI TERHADAP RISIKO SISTEMATIS (BETA SAHAM) (Studi Kasus pada Saham LQ 45 yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2012-2017)

ISMAGUSTIN, WINDI (2019) PENGARUH FAKTOR FUNDAMENTAL DAN FAKTOR MAKROEKONOMI TERHADAP RISIKO SISTEMATIS (BETA SAHAM) (Studi Kasus pada Saham LQ 45 yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2012-2017). S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

Capital market is one of the alternatives for the company to obtain funding through investment activities. Investing in the stock market offers the same great benefits to the level of losses that might be obtained. This loss rate is also known as risk. The risk that can not be diversified (systematic risk) is often referred to as market risk. The parameter that used to measure the systematic risk is component of beta. This research uses the component of fundamental factors (Debt to Equity Ratio, Return on Asset and Earning per Share) and macro economic indicators (Inflation and BI rate) as independent variables which had an effect on dependent variable, stock beta. This research aimed to analyze the influence of the company’s fundamentals and macro economic indicators on the stock beta at index of LQ 45 during 2012 - 2017. The object of this research is all of the companies that is listed on the BEI and registered in LQ 45 index during the period 2012-2017. Method of the research is Purposive Sampling, from 79 stocks listed in LQ45 index, there are 24 stocks of companies that consistently registered in LQ45 index. The analysis model used in this study is a model of panel data regression analysis. Results of the study found that Debt to Equity Ratio (DER) has a positive effect to Stock Beta, Return On Asset (ROA) has a negative effect on the Stock Beta, Earning per Share (EPS) has a negative effect on the Stock Beta, Inflation has a negative effect on the Stock Beta, while BI rate has a negative effect on the Stock Beta Keywords : share beta, debt to equity ratio, return on asset, earning per share, inflation, risk free interest, single index model Pasar modal menjadi alternatif bagi perusahaan untuk memperoleh sumber pendanaan melalui kegiatan investasi. Berinvestasi pada pasar modal menawarkan keuntungan yang sama besar dengan tingkat kerugian yang mungkin diperoleh. Tingkat kerugian ini dikenal dengan risiko. Risiko yang tidak dapat didiversifikasi (systematic risk) sering disebut juga dengan risiko pasar. Parameter yang digunakan untuk mengukur risiko sistematis ini adalah beta. Penelitian ini menggunakan komponen faktor-faktor fundamental (Debt to Equity ratio, Return on Asset, Earning per Share) dan indikator makroekonomi (Inflasi, Suku Bunga) sebagai variabel independen yang berpengaruh terhadap variabel dependen, beta saham. Penelitian ini bertujuan untuk menganalisis pengaruh faktor fundamental perusahaan dan indikator makroekonomi terhadap beta saham pada indeks saham LQ 45 periode 2012-2017. Objek penelitian ini adalah seluruh perusahaan yang listing di BEI dan terdaftar dalam Indeks LQ 45. Metode penelitian ini adalah Purposive Sampling, dari 79 saham anggota indeks LQ45, terpilih 19 perusahaan yang konsisten masuk dalam indeks LQ45. Model analisis yang digunakan dalam penelitian ini adalah model analisis regresi data panel. Hasil penelitian menunjukkan bahwa Debt to Equity Ratio (DER) berpengaruh positif terhadap Beta Saham, Return On Asset (ROA) berpengaruh negatif terhadap Beta Saham, Earning per Share (EPS) berpengaruh negatif terhadap Beta Saham, Inflasi berpengaruh negatif terhadap Beta Saham, sedangkan Suku Bunga berpengaruh positif terhadap Beta Saham. Kata kunci: beta saham, debt to equity ratio, return on asset, earning per share, inflasi, suku bunga, single index model

Item Type: Thesis (S1)
Call Number: SE/31/19/093
NIM: 43115010027
Uncontrolled Keywords: beta saham, debt to equity ratio, return on asset, earning per share, inflasi, suku bunga, single index model
Subjects: 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 020 Library and Information Sciences/Perpustakaan dan Ilmu Informasi > 025 Operations, Archives, Information Centers/Operasional Perpustakaan, Arsip dan Pusat Informasi, Pelayanan dan Pengelolaan Perpustakaan > 025.1 Administration and Library Management/Administrasi dan Manajemen Perpustakaan > 025.11 Finance/Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu > 657.48 Analytical (Financial) Accounting/Analisis (Keuangan) Akuntansi
700 Arts/Seni, Seni Rupa, Kesenian > 720 Architecture/Arsitektur > 725 Public Structures Architecture/Arsitektur Struktur Umum > 725.2 Commercial and Communication Buildings/Arsitektur Gedung Perdagangan dan Komunikasi > 725.24 Financial Institutions/Lembaga Keuangan
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 23 Oct 2019 01:58
Last Modified: 23 Oct 2019 01:58
URI: http://repository.mercubuana.ac.id/id/eprint/51587

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